Book Chapter

Measuring Performance and Performance Persistence

Mirabile, Kevin R.

2016

Overview

Performance measurement is all about a fund's historical return, its variability, and its sensitivity to external measures. Evaluating individual funds usually starts with an analysis of a fund's historical data and its current exposure or sensitivity to market risk factors. Investors need to evaluate both the performance and risks of any fund and then form an opinion about return expectations and the anticipated correlation of fund results with their existing portfolio. Allocating capital based on recent performance may lead to herding and less than stellar results, as investors all pile into the latest winners, who then fail to meet expectations. Once a complete review of the empirical characteristics of a fund has taken place and a list of choices created from the data, investors can then start the more labor‐intensive and high‐quality process of evaluating the manager, the fund's service provider, references, pedigree, and a host of variables designed to assess the particular opportunity.

• Publisher: John Wiley & Sons, Inc
• Subject: allocating capital / fund's historical data / fund's service provider / market risk factors / performance measurement
• ISBN: 1119210356, 9781119210351